Yiho International Co Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
10,347.69
increased by 5.82
1 Week
10,001.88
decreased by 339.99
1 Month
8,271.42
decreased by 2,070.45
Analysis last updated: Wednesday, July 8, 2026 at 11:32 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 2, 2022 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 173286 trading days (~687.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3454 | 0.00 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 0.01 |
Spline Coefficients
K=6
| γ1 | -35.2595 | 0.00 |
| γ2 | 50.2995 | 0.00 |
| γ3 | -21.1492 | 0.00 |
| γ4 | 13.6834 | 0.00 |
| γ5 | -20.7828 | 0.00 |
| γ6 | 24.9516 | 0.00 |
Persistence:
1.000
Half-life:
173286 days
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